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Biagini, Francesca; Meyer-Brandis, Thilo; Oksendal, Bernt; Paczka, Krzysztof (2018): Optimal control with delayed information flow of systems driven by G-Brownian motion. In: Probability Uncertainty and Quantitative Risk, Vol. 3
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In this paper, we study strongly robust optimal control problems under volatility uncertainty. In the G-framework, we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.